中国金融周期与经济周期的交互影响作用分析——基于动态溢出指数方法的实证研究

Currently, it is believed that the economy in China is at a very specific period of " three-phase superposition”, where the coexistence of economic downward pressure and accumulated financial risks brings higher requirements and more challenges to macroeconomic regulation and financial supervision. In this situation, a thorough study of the dynamic interaction between financial cycle and business cycle would contribute to a better understanding of the macroeconomic in the new era, specifically the essence of the financial system. Furthermore, it could be considerably practical to formulate financial supervision and macroeconomic regulation policy scientifically, and to enhance the ability of financial risk control and the support from the financial system to the real economy, hence guarantee the stability of the macro-economy and the financial system.　　In this paper, interest rate, exchange rate, money supply, aggregate financing to the real economy and asset prices are selected to build the financial condition index （FCI）, which could be helpful to analyze the characteristics of financial cycle fluctuation in China. Furthermore, the dynamic spillover index method, based on generalized prediction error variance decomposition, is adopted to focus on the interaction between financial cycle and business cycle in China. It is revealed in the results that the interaction between macro-finance and economic fluctuation is affected by numerous factors, such as the shock of the international financial market, the openness of the economic and financial market, the development of the financial market, and the innovation of financial instruments. Besides, the impact of financial fluctuation on economic fluctuation is significantly high, while that of economic fluctuation on financial fluctuation remains apparently lower constantly. Hence, the phenomenon called " off real to virtual” in the financial system deserves vigilance.　　The research not only obtains the interaction between financial cycle and business cycle from time-varying and directional aspects, but also provides useful decision-making basis enlightenment for financial risk supervision policy and macroeconomic regulation. This paper holds that on the one hand, considering the important influence and the amplification effect of financial cycle fluctuation on macroeconomic fluctuation, we should pay close attention to the domestic and international economic and financial situations, strengthen supervision and anticipation management of financial risks, actively guide the financial sector return to the service standard, and avoid the financial system losing contact with the real economy and become a self-service system. On the other hand, we are supposed to further improve the dual-pillar regulatory framework of monetary policy and macro-prudential policy based on the financial-economic endogenous linkage mechanism, and actively explore the monetary policy regulatory model that takes into account financial stability while improving the local regulatory and supervision of macro-prudential policy for financial imbalances, so as to achieve the dual stability and coordinated development of the macro-economy and the financial system.